Financial Risk Manager Part 1
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A risk analyst working for a pension fund is tasked with calculating the 1-day Expected Shortfall (ES) for a portfolio using the historical simulation method. To do this, the analyst generates 250 different scenarios for the portfolio. Given the context of historical simulation, which of the following assumptions or methods best describes the most effective way for the analyst to estimate asset values for each scenario?
A risk analyst working for a pension fund is tasked with calculating the 1-day Expected Shortfall (ES) for a portfolio using the historical simulation method. To do this, the analyst generates 250 different scenarios for the portfolio. Given the context of historical simulation, which of the following assumptions or methods best describes the most effective way for the analyst to estimate asset values for each scenario?
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A
Assume that a group of market variables change as they did during one of the days in a historical reference period, and apply these changes to the current values of these variables, which are then used to calculate asset values.
41.8%
B
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